Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

Cellular automaton model for molecular traffic jams

We consider the time evolution of an exactly solvable cellular automaton with random initial conditions both in the large-scale hydrodynamic limit and on the microscopic level. This model is a version of the totally asymmetric simple exclusion process with sublattice parallel update and thus may serve as a model for studying traffic jams in systems of self-driven particles. We study the emergence of shocks from the microscopic dynamics of the model. In particular, we introduce shock measures whose time evolution we can compute explicitly, both in the thermodynamic limit and for open boundaries where a boundary-induced phase transition driven by the motion of a shock occurs. The motion of the shock, which results from the collective dynamics of the exclusion particles, is a random walk with an internal degree of freedom that determines the jump direction. This type of hopping dynamics is reminiscent of some transport phenomena in biological systems.

Analytical solutions of accreting black holes immersed in a Lambda CDM model

The evolution of the mass of a black hole embedded in a universe filled with dark energy and cold dark matter is calculated in a closed form within a test fluid model in a Schwarzschild metric, taking into account the cosmological evolution of both fluids. The result describes exactly how accretion asymptotically switches from the matter-dominated to the Lambda-dominated regime. For early epochs, the black hole mass increases due to dark matter accretion, and on later epochs the increase in mass stops as dark energy accretion takes over. Thus, the unphysical behaviour of previous analyses is improved in this simple exact model. (C) 2010 Elsevier B.V. All rights reserved.

CDM accelerating cosmology as an alternative to Lambda CDM model

A new accelerating cosmology driven only by baryons plus cold dark matter (CDM) is proposed in the framework of general relativity. In this scenario the present accelerating stage of the Universe is powered by the negative pressure describing the gravitationally-induced particle production of cold dark matter particles. This kind of scenario has only one free parameter and the differential equation governing the evolution of the scale factor is exactly the same of the Lambda CDM model. For a spatially flat Universe, as predicted by inflation (Omega(dm) + Omega(baryon) = 1), it is found that the effectively observed matter density parameter is Omega(meff) = 1 - alpha, where alpha is the constant parameter specifying the CDM particle creation rate. The supernovae test based on the Union data (2008) requires alpha similar to 0.71 so that Omega(meff) similar to 0.29 as independently derived from weak gravitational lensing, the large scale structure and other complementary observations.

The log-exponentiated Weibull regression model for interval-censored data

In interval-censored survival data, the event of interest is not observed exactly but is only known to occur within some time interval. Such data appear very frequently. In this paper, we are concerned only with parametric forms, and so a location-scale regression model based on the exponentiated Weibull distribution is proposed for modeling interval-censored data. We show that the proposed log-exponentiated Weibull regression model for interval-censored data represents a parametric family of models that include other regression models that are broadly used in lifetime data analysis. Assuming the use of interval-censored data, we employ a frequentist analysis, a jackknife estimator, a parametric bootstrap and a Bayesian analysis for the parameters of the proposed model. We derive the appropriate matrices for assessing local influences on the parameter estimates under different perturbation schemes and present some ways to assess global influences. Furthermore, for different parameter settings, sample sizes and censoring percentages, various simulations are performed; in addition, the empirical distribution of some modified residuals are displayed and compared with the standard normal distribution. These studies suggest that the residual analysis usually performed in normal linear regression models can be straightforwardly extended to a modified deviance residual in log-exponentiated Weibull regression models for interval-censored data. (C) 2009 Elsevier B.V. All rights reserved.

A linear optimization approach to the combined production planning model

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Phase diagram and spectral properties of a new exactly integrable spin-1 quantum chain

The spectral properties and phase diagram of the exactly integrable spin-1 quantum chain introduced by Alcaraz and Bariev are presented. The model has a U(1) symmetry and its integrability is associated with an unknown R-matrix whose dependence on the spectral parameters is not of a different form. The associated Bethe ansatz equations that fix the eigenspectra are distinct from those associated with other known integrable spin models. The model has a free parameter t(p). We show that at the special point t(p) = 1, the model acquires an extra U(1) symmetry and reduces to the deformed SU(3) Perk-Schultz model at a special value of its anisotropy q = exp(i2 pi/3) and in the presence of an external magnetic field. Our analysis is carried out either by solving the associated Bethe ansatz equations or by direct diagonalization of the quantum Hamiltonian for small lattice sizes. The phase diagram is calculated by exploring the consequences of conformal invariance on the finite-size corrections of the Hamiltonian eigenspectrum. The model exhibits a critical phase ruled by the c = 1 conformal field theory separated from a massive phase by first-order phase transitions.